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On Anticipative Girsanov Transformations for Lévy Processes

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Abstract

The smooth approach to Malliavin calculus for Lévy processes in (Osswald in J. Theor. Probab., 2008) is used to study time-anticipative Girsanov transformations for a large class of Lévy processes by means of the substitution rule in finite-dimensional analysis.

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Authors and Affiliations

  1. Mathematisches Institut der Universität München, Theresienstr. 39, 80333, München, Germany

    Horst Osswald

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  1. Horst Osswald
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Correspondence to Horst Osswald.

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Dedicated to Wolfram Pohlers on the occasion of his 65th birthday.

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Osswald, H. On Anticipative Girsanov Transformations for Lévy Processes. J Theor Probab 22, 474–481 (2009). https://doi.org/10.1007/s10959-008-0197-z

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  • DOI: https://doi.org/10.1007/s10959-008-0197-z

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